zachmayer

#################################################
# Build a model
#################################################

#Choose Differencing window
#Hussman uses 6 months
Diff <- 6		
Data$PAYEMS <- (Data$PAYEMS-Lag(Data$PAYEMS,Diff))/Lag(Data$PAYEMS,Diff)
Data$UNRATE <- (Data$UNRATE-Lag(Data$UNRATE,Diff))/Lag(Data$UNRATE,Diff)
Data$SP500 <- (Data$SP500-Lag(Data$SP500,Diff))/Lag(Data$SP500,Diff)

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#Actual Recessions
getSymbols('USREC',src='FRED') 
USREC <- USREC["1997-07-01::",] #Start from same period

#Compare recession now to warning last month
library(caret)
OneMonth <- Lag(P.Rec)
compare <- na.omit(merge(OneMonth,USREC))
confusionMatrix(compare[,1],compare[,2],positive = '1')

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cor(iris[-5])
pairs(iris[-5], bg=iris$Species, pch=21)

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Coefficients:
            Estimate Std. Error t value Pr(>|t|)    
(Intercept)  1.18471    0.12130   9.767 1.08e-12 ***
Sheep       -0.71154    0.08546  -8.326 1.16e-10 ***

zachmayer

rm(list = ls(all = TRUE))
#http://etfprophet.com/days-since-200-day-highs/

require(quantmod)
getSymbols('^GSPC',from='1900-01-01')

daysSinceHigh <- function(x, n){
   apply(embed(x, n), 1, which.max)-1
}

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#Load Data
rm(list = ls(all = TRUE))
library(quantmod)
library(PerformanceAnalytics)

symbols <- c('XLE','XLV','XLI','XLU','XLP','IYZ','XLK','XLY','XLF','XLB','GLD','SLV','EFA','EEM','FXA','FXE','FXY','HYG','LQD')

getSymbols(symbols,from='2007-01-01')
getSymbols('SPY',from='2007-01-01')

zachmayer

rm(list = ls(all = TRUE))

daysSinceHigh <- function(x, n){
   apply(embed(x, n), 1, which.max)-1
}

myStrat <- function(x, nHold=100, nHigh=200) {
	position <- ifelse(daysSinceHigh(x, nHigh)<=nHold,1,0)
	c(rep(0,nHigh-1),position)
}

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#Load current know recessions
library(xts)
ModRec <- read.csv("http://dl.dropbox.com/u/7428423/Modified%20NBER%20Recession%20Data.csv")
ModRec$DATE <- as.Date(ModRec$DATE)
ModRec <- xts(ModRec[,-1],order.by=ModRec[,1])

#Load actual recessions
library(quantmod)
getSymbols('USREC',src='FRED') 

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rm(list = ls(all = TRUE))
memory.limit(size = 4000)

#Get Data
library(quantmod)
getSymbols('^GSPC',from='1900-01-01')
myStock <- Cl(GSPC)
bmkReturns <- dailyReturn(myStock, type = "arithmetic")

#Apply our strategy to tomorrows returns

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#Setup 
rm(list = ls(all = TRUE)) 
set.seed(1)
nsims <- 1000 
library(quantmod) 
library(PerformanceAnalytics)
#Load Data 
getSymbols('^GSPC',from='1900-01-01') 
spyReturns <- dailyReturn(GSPC$GSPC.Adjusted, type = "arithmetic")